SPX dealer positioning, the week of May 27, 2024
May 27 to May 31 · 4 of 5 days traded · each session free to replay
| Day | Open | Close | Change | Range | Close to close | Flip at the close | Gamma at the close |
|---|---|---|---|---|---|---|---|
| Monday May 27 | no session | ||||||
| Tuesday May 28 | 5311.0 | 5306.1 | -4.9 -0.09% | 31.5 | +2.1 | 5270.8 not crossed | positive |
| Wednesday May 29 | 5268.9 | 5266.9 | -2.0 -0.04% | 17.7 | -39.2 | 5236.7 crossed 13x | positive |
| Thursday May 30 | 5252.9 | 5236.4 | -16.5 -0.31% | 35.1 | -30.5 | 5220.8 not crossed | positive |
| Friday May 31 | 5245.3 | 5281.9 | +36.5 +0.70% | 88.5 | +45.5 | 5180.6 not crossed | positive |
Week: -22.1 points (-0.42%), close to close from 2024-05-24.
Ranges: 172.7 points over 4 sessions, the largest 88.5 on 2024-05-31.
Zero-gamma flip at the close: 5270.8 on the first session, 5180.6 on the last (-90.2 points).
Closed in positive gamma: 4 of 4 sessions.
Events this week
- May 28
10:00Consumer confidence (Conference Board)
spot +2.4 in the 15 minutes after 10:00; flip 5285.3 → 5279.2; net gamma long; walls 5285.2 / 5349.9 → 5279.1 / 5348.2 - May 29
09:30VIX settlement
spot -2.3 in the 15 minutes after 09:30; flip 5281.4 → 5217.6; net gamma long (was short) - May 30
08:30GDP
GDP q/q: actual 3.6% / prior 0.8% - May 30
16:05COST earnings - May 31
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.2% / prior 0.4%
Prices are SPX at the minute. Change is close minus open; close to close is against the previous finished session. The zero-gamma flip is the terminal's measured flip at the close, and "crossed" counts the minutes the tape changed sides of it. Gamma at the close is where the close sat against that flip. Events are the market calendar's high and medium impact rows; the line under an in-session event is what the book did in the fifteen minutes after it, from the day's own payload. Nothing here is a forecast; see the Terms.